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Volumn 27, Issue 3, 2008, Pages 217-235
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Single-index and portfolio models for forecasting value-at-risk thresholds
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Author keywords
Basel Accord penalties; Conditional correlations; Multivariate conditional volatility; Portfolio spillover; Single index; Value at risk thresholds
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Indexed keywords
COVARIANCE MATRIX;
MATHEMATICAL MODELS;
MAXIMUM LIKELIHOOD;
MULTIVARIABLE SYSTEMS;
BASEL ACCORD PENALTIES;
CONDITIONAL CORRELATIONS;
LIKELIHOOD RATIO TESTS;
MULTIVARIATE CONDITIONAL VOLATILITY;
MULTIVARIATE CONDITIONAL VOLATILITY MODELS;
VALUE AT RISK THRESHOLDS;
RISK ANALYSIS;
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EID: 42549088686
PISSN: 02776693
EISSN: 1099131X
Source Type: Journal
DOI: 10.1002/for.1054 Document Type: Article |
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Times cited : (61)
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References (37)
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